The Chilean, 29, allegedly missed the test on the same day his transfer to Manchester United was completed.
"I think it is a special event for him to miss a drugs test because he was somewhere else," said Wenger.
The Frenchman added the club had not been contacted by the Football Association or UK Anti-Doping.
Wenger added: "On Monday there was a lot going on, it is a special day for Alexis Sanchez - you have to do paperwork and travel. Was he still our player on Monday or not? You don't know.
"It is just a bad day for him to be tested. Honestly, on the administration side it would still be our responsibility because he had not moved. I don't know what really happened.
"I am quite relaxed because we have nothing to hide here; we always try our best to cooperate with doping control.
"The intention of Alexis was not to hide and we have nothing to hide."